Options Greeks Worksheet
Compute and interpret the Greeks for a small options book under given market data.
The scenario
A small options book lands on your screen — a handful of lines, long and short, across strikes and maturities. The desk wants its risk in one glance: the Greeks per line and netted across the book, and a one-liner on what the net exposure actually means.
Where this shows up
Computing and reading a book's net Greeks is a staple options-trading screen at firms of this type.
Firms such as Optiver, IMC, SIG.
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Task brief
# Options Greeks Worksheet **Role relevance:** Options market-making take-home. **Estimated time:** 45 minutes · **Difficulty:** Intermediate · **Format:** Excel (.xlsx) ## What you are given - `options_greeks_worksheet_starter.xlsx` — a **Brief** tab, a **Formula Help** tab and a **Book** template (option lines + helper/Greek columns). Amber cells are yours to complete. ## What you must deliver 1. d1, d2, N(d1), n(d1), N(d2) per line (helper columns) 2. Delta, gamma, vega, theta per line, scaled by signed contracts 3. Net book Greeks and a delta-by-line chart 4. One line interpreting the net exposure (state vega/theta units) ## Submission note Use the Formula Help tab for the BS-in-Excel patterns; the solution workbook shows every formula.
Your tasks
- 01Compute each line's Greeks via visible helper columns (d1, d2, N(d1), n(d1), N(d2)).
- 02Scale each Greek by the signed position — short lines flip the sign.
- 03Aggregate to net book-level Greeks.
- 04Read the delta-by-line chart and write one honest line interpreting the net exposure.
How you're assessed
The full points-based mark scheme is included with the pack.
What you'll learn
- How each Greek scales with position and nets across a book.
- Why net gamma and net vega can have opposite signs (a calendar shape).
- How to read a book's risk from its Greeks in one glance.